Using the martingale approach, we value explicitly European options on bonds, caps, floors, swaps, swaptions and Asian options on interest rates. We do so in the context of a one-factor model of the yield curve and either a linear or an exponential volatility structure.
QUITTARD-PINON, F. and PONCET, P. (1995). Valuation of Interest Rate Derivatives in One-factor Interest Rate Models. ESSEC Business School.